Sandfly Bay is a bay with large dunes on the Otago Peninsula, 15 km east of central Dunedin. The bay was often thought by locals to have been named for a small biting insect known as the Sandfly, but this is incorrect. It was named after the sand which, given the windy nature of this coast, flies from
the dunes surrounding the bay.

An island at the north-eastern end of the bay is known as Lion Rock or Lion's Head Rock, due to its shape. A distinctive landmark, it can be clearly seen in good weather from Second Beach, close to Saint Clair.

At the north-eastern end of the bay the Department of Conservation (DOC) has constructed wooden hides for the public and DOC staff to view Yellow-eyed Penguin activity without disturbance. Yellow-eyed Penguin activity here is now very limited due to human interference.

The beach is a popular site for the Hooker's Sea Lion to bask on the sand. It is also an excellent site for washed up Durvillea Antarctica to be found.